Meng Li

University of Tsukuba - Graduate School of Systems and Information Engineering

1-1-1 Tennodai

Tsukuba

Ibaraki, 305-8573

Japan

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Scholarly Papers (1)

1.

A Queuing Model for a Continuous Double-Auction Trading System

22nd Australasian Finance and Banking Conference 2009
Number of pages: 8 Posted: 24 Aug 2009 Last Revised: 10 Nov 2009
Japan Dragon Network Co., Ltd., University of Tsukuba - Graduate School of Systems and Information Engineering, University of Tsukuba - Graduate School of Systems and Information Engineering and Central Research Institute of Electric Power Industry (CRIEPI)
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Citation 1

Abstract:

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Market microstructure, Continuous double-auction trading system, Execution probability, Queue